Select Active Rigid Body Parts
Operator
As a select physics  operator.

Edit update for 2.8



bl_info = {
    "name": "Select RigidBody Objects",
    "author": "batFINGER",
    "version": (1, 0),
    "blender": (2, 80, 0),
    "location": "View3D &gt; Select &gt; Object &gt; Rigid Body Object",
    "description": "Selects Rigid Body Objects",
    "warning": "",
    "wiki_url": "",
    "category": "3D View",
    }


import bpy
from bpy.types import Operator
from bpy.props import EnumProperty, BoolProperty


class OBJECT_OT_select_rigid_body(Operator):
    """Select Rigid Body"""
    bl_idname = "object.select_rigid_body"
    bl_label = "Select Rigid Body Objects"
    bl_options = {'REGISTER', 'UNDO'}
    rna = bpy.ops.object.select_all.get_rna_type()
    action: EnumProperty(
        name="Action",
        items=tuple((i.identifier, i.name, i.description)
            for i in rna.properties['action'].enum_items),
        default='SELECT',
        )
    enum  = bpy.types.RigidBodyObject.bl_rna.properties['type']

    items = [(o.identifier, o.name, o.description, o.icon, o.value)
              for o in enum.enum_items]
    type: EnumProperty(items=items, name=enum.name, description=enum.description, default=enum.default)
    extend: BoolProperty(name = "Extend Selection", default=False)

    def execute(self, context):
        scene = context.scene
        obj = context.active_object

        rigids = [o for o in scene.objects if o.rigid_body
                    and o.rigid_body.type == self.type]        
        if not self.extend:
            bpy.ops.object.select_all(action='DESELECT')

        action = self.action
        if rigids:
            if action == 'SELECT':
                select = True
            if action == 'DESELECT':
                selection = False
            if action == 'INVERT':
                select = not obj.select

            if obj not in rigids and not self.extend:
                scene.objects.active = rigids[0]
            for o in rigids:           
                o.select_set(select)

        return {'FINISHED'}


# Registration

def add_select_menu(self, context):
    self.layout.operator_menu_enum(
        OBJECT_OT_select_rigid_body.bl_idname,
        "type",
        icon='PHYSICS')


def register():
    bpy.types.VIEW3D_MT_select_object.prepend(add_select_menu)
    bpy.utils.register_class(OBJECT_OT_select_rigid_body)


def unregister():
    bpy.types.VIEW3D_MT_select_object.remove(add_select_menu)
    bpy.utils.unregister_class(OBJECT_OT_select_rigid_body)

if __name__ == "__main__":
    register()


Install addon as shown here https://blender.stackexchange.com/a/1689/15543

To enable.


Alternatively (aka old answer) 
A simple script to add a toggling property to the object select menu. (Avoids setting up an operator, but end up with code useful to create an op later if needed)  


Showing the checkbox on menu

If toggled from false to true will select all active type rigid bodies.  The other way will deselect.

import bpy
from bpy.props import BoolProperty

def select_active_rigids(self, context):
    # deselect all
    if self.select_active_rigids:
        for o in self.objects:
            o.select = False
    rigids = [o for o in self.objects if o.rigid_body
                and o.rigid_body.type == 'ACTIVE']
    for o in rigids:
        self.objects.active = o
        o.select = self.select_active_rigids
    return None

bpy.types.Scene.select_active_rigids = BoolProperty(update=select_active_rigids)    

def draw(self, context):
    scene = context.scene
    layout = self.layout
    text = "Deselect" if scene.select_active_rigids else "Select"

    layout.prop(scene, "select_active_rigids",
                text="%s Rigids" % text,
                toggle=True)   

# hit F8 to clear from menu (reloads all)
bpy.types.VIEW3D_MT_select_object.prepend(draw)


For scripters: an example of defining a context property.

import bpy
def selected_active_physics_objects(self):
    return [o for o in self.selected_objects
                if o.rigid_body
                    and o.rigid_body.type == 'ACTIVE']

bpy.types.Context.selected_active_physics_objects = property(selected_active_physics_objects)

'''
Example Console Output
&gt;&gt;&gt; C.selected_active_physics_objects
[bpy.data.objects['Cone.001'], bpy.data.objects['Cone'], bpy.data.objects['Cube.001'], bpy.data.objects['Cube']]
'''